Automated Option Trading: Create, Optimize, and Test Automated Trading Systems by Sergey Izraylevich Ph.D. & Vadim Tsudikman

Author:Sergey Izraylevich Ph.D. & Vadim Tsudikman [Izraylevich Ph.D., Sergey]
Language: eng
Format: epub, mobi
Publisher: Pearson Education
Published: 2012-03-12T00:00:00+00:00

To analyze the effectiveness of the random search, we will use the same characteristics as for comparing four direct search methods (see Table 2.7.1).

As one would expect, values of all characteristics increase as the number of randomly selected nodes rises (see Figures 2.7.5 and 2.7.6). However, the rates of these increases vary for different characteristics. Moreover, the shape of the relationship between search effectiveness and the number of trials is also characteristic-dependent. The percentage of optimal solutions coinciding with the global maximum increases linearly as the number of selected nodes increases. On the other hand, the percentage of optimal solutions located in the optimal area and the average value of objective function increase nonlinearly as the number of trials increases: Initially the growth in values of these characteristics is rapid, but a further increase in the number of trials adds only slightly to the search effectiveness.

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